Abstract

The leading role of exchange rate’s structure mutation is itself endogenous structural, the interest rate’s structure mutation is the result of the accelerating process of interest rate marketization, and there is no significant correlation between the time dynamic mutation of the currency mismatch and exchange rate’s structure mutation, exchange rate’s structure mutation is the exchange rate has an indirect effect through the interest rate, interest rate’s mutation is ahead of currency mismatch’s mutation. After eliminating the structure mutation factors, currency mismatch’s response of exchange rate’s impact is no regularity at all, short-term response is more intense, and then gradually decreased, the impact of currency mismatch from the exchange rate’s fluctuations continue a long time, currency mismatch’s response of exchange rate’s impact is stronger than the interest rate.The exchange rate and the interest rate are almost consistent ability to the currency mismatch’s explanation, interest rate’s explanatory degree stronger than exchange rate in short-term, in the long term the exchange rate’s explanatory ability has actually strengthened, means interest rate’s predictive ability about currency mismatch is transient, but exchange rate is long-term. Key words: Currency mismatch; Structure mutation; Identification; Retreating trend treatment VAR model